All ES Long

P&L Summary

Range Return Sharpe Win% Ave Ave+ Ave- Max- Underwater Days %
20 3 3.3 44 1 6 (2) (8) 0 90
60 2 1.9 41 0 5 (2) (8) 0 97
120 2 2.5 50 0 5 (3) (19) 0 94
250 3 2.7 50 1 6 (3) (20) 0 96
500 3 2.1 52 1 8 (5) (61) (1) 95
760 3 1.9 51 1 7 (5) (61) (1) 95
1260 3 2.1 53 1 7 (5) (61) (1) 95
2520 4 1.4 52 1 10 (8) (105) (5) 95
All 3 1.1 51 1 10 (8) (111) (8) 95

P&L Month Table

Year 1 2 3 4 5 6 7 8 9 10 11 12 R Sharpe Win% Trades MaxLoss UW Max Ave
Avg 0.1 0.5 0.3 0.2 0 0.4 0.5 0.2 0.2 0.3 0.3 0.1 3.3 2 52.9 258 (0.5) (1) 0.6 0.3
2017 0.4 0.3 0.2 0.1 0 0 0 0 0 0 0 0 1 3 48.9 93 (0.1) (0.3) 0.5 0.3
2016 (0.1) 0.8 0.6 0.2 0.1 0.9 0.4 (0.1) 0.3 (0.2) 0.5 0.1 3.5 2.1 52.8 260 (0.3) (0.8) 0.6 0.3
2015 (0.3) 0.5 0.1 0.1 0.2 0.1 0.9 0.6 (0.2) 1 0.3 (0.4) 2.9 1.6 49.2 256 (0.6) (0.8) 0.5 0.3
2014 (0.2) 0.6 0.2 0.6 0.3 0.3 (0.1) 0.6 0 0 0.2 0.6 3.1 2 55.5 257 (0.4) (1.3) 0.7 0.3
2013 0.6 0.4 0.5 0.4 0.4 (0.4) 0.6 (0.3) 0.5 0.7 0.2 0.4 4 2.7 56.3 256 (0.6) (0.8) 0.6 0.3
2012 0.5 0.4 0.3 (0.1) (0.8) 1 0.7 0.1 0.5 0.2 0.4 0 3.2 1.7 50.8 261 (0.4) (1.3) 0.7 0.3
2011 0.2 0.3 0.4 0.8 0 0 0.1 0 0 1.4 0.4 0.4 4 1.4 51.6 256 (0.7) (2.1) 0.6 0.3
2010 (0.3) 0.6 0.6 0.3 (0.1) (0.4) 2 (0.6) 1.2 0.5 0 0.9 4.7 1.8 55.6 257 (0.6) (1.3) 0.8 0.3
2009 (0.6) (1) 1.8 1.2 0.5 0.5 0.7 0.4 0.8 0.4 0.9 0.3 5.9 1.9 57.3 258 (0.7) (3.6) 0.7 0.3
2008 (1) 0 0.7 1.3 0.5 (1.1) 0.6 0.5 (1.2) 0.5 0.9 1.1 2.8 0.6 45.2 258 (1.1) (4.5) 0.7 0.3
2007 0.2 0 0.3 0.5 0.4 0.1 0.2 0.1 0.3 0.3 (0.1) 0.1 2.4 1.3 54.4 258 (0.5) (1.1) 0.7 0.3
2006 0.6 0.1 0.3 0.2 (0.5) 0.5 0 0.1 0.3 0.2 0.2 0.3 2.3 1.6 51.2 260 (0.3) (1) 0.5 0.3
2005 (0.4) 0.3 (0.6) (0.1) 0.7 0.1 0.4 (0.1) 0 (0.3) 0.1 (0.3) (0.2) (0.2) 49.8 257 (0.2) (1.2) 0.6 0.3
2004 0.3 0.4 0.3 (0.2) 0.1 0.2 (0.6) 0.2 0.1 0.6 0.4 0.4 2.2 1.5 53 260 (0.3) (1) 0.7 0.3
2003 0.5 0.3 1.2 1.4 0.4 0.3 0.3 0.7 0 0.8 0.3 0.8 7 2.9 53.6 259 (0.4) (1.4) 0.7 0.3
2002 (0.5) (0.1) 0.8 (0.9) 0.2 (0.9) (0.8) 0.4 (1.4) 1 0.7 (0.6) (2.1) (0.7) 44.4 261 (0.6) (4.5) 0.6 0.3
2001 0.5 (1.8) (1) 2.1 0.4 (0.1) 0 (1.1) (2.4) 0.2 0.5 0.3 (2.4) (0.7) 47.3 260 (1.1) (5.2) 0.5 0.3
2000 (0.2) 0 1.5 0.6 0.1 0.6 0.1 0.5 (0.8) (0.6) (0.9) 0.5 1.4 0.5 42.6 256 (0.7) (2.8) 0.6 0.3